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Experts explain how to model and validate market risk Basel III from above: presentation on the expectation
metrics under Basel 2.5 for risk governance and culture
Stressed VaR, Incremental Risk Charge and Learn how capital requirements and leverage ratio
Comprehensive Risk Measure all covered under Basel III will effect risk and funding
Discussion around updated capital requirements for Demonstration on how to calculate capital for wrong-
exposures to securitisation way risk and how to calculate CVA VaR
Expert analysis of proposals in recent Fundamental Discuss enhanced requirements for institutional and
Review of the Trading Book risk specific stress tests under Basel III
incisive-training.com/xxxxx
Risk Management
looking towards the much larger subsequent set
How to model and validate SVaR, IRC and
of regulatory adjustments proposed by the Basel CRM within a bank
Committee Basel III, now officially in its first stage of
Calculating capital required for securitisation
formal implementation. Now is the time for financial
and the effect this has had on the business
institutions to act to ensure new and repositioned
staff are up to the minute on the latest developments
The intentions and proposals discussed by
during this crucial period of change. This two day the Basel Committees Fundamental Review
training course offers a complete overview of
Why there is pressure on banking institutions
the significant and challenging alterations to risk to alter their risk culture and governance
management in the trading book. The programme
The way in which Basel III aims to enforce this
course offers an opportunity to openly discuss
upon the banking community
with industry specialists and expert speakers the
challenges encountered in implementing regulatory
The qualitative approaches to calculating
requirements such as stressed VaR (value at risk), CRM capital requirements and the new leverage
(comprehensive risk measure) and IRC (incremental ratio
risk charge). In addition alterations to capital for
The effect of the wider Basel III accord on risk,
securitisation exposures and the recent Fundamental funding and banking business models
Review of the Trading Book will be presented
Calculate wrong way risk and CVA VaR to
clearly. Participants will also consider key issues and more effectively manage counterparty risk
objectives of the risk coverage outlined in the Basel
The emergence of CCPs as risk-free
III package of measures, covering topics such as risk
counterparties and how they are treated in
culture, governance, capital and leverage ratios,
Basel III
wrong way risk, CCP capital charges, stress testing
and CVA VaR (credit value adjustment).
How Basel III promotes stress testing for closely
monitoring risk and institutional stability
Book now
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email training.delegates@incisivemedia.com
web incisive-training.com/xxxxxx
Basel 2.5 to Basel III: Validation, London 27 & 28 March 2013
Implementation and Objectives New York 27 & 28 March 2013
Course Tutors:
Risk Management
London New York
Ian Fernandes Ariel Blumencwejg
Director, RiskContainer, CVA Risk Specialist,
Calimere Point Federal Reserve Bank of New York
Adolfo Montoro James Diguglielmo
Head of Market Risk Economic Capital Quantitative Analyst,
Methodology, Morgan Stanley
Deutsche Bank
Gordon Liu
Diana Ouamar Head of Traded Market Risk Americas,
Co-Founder and Director, HSBC
Rima Consulting
Akhtarur Siddique
Ignacio Ruiz Risk Analysis Division,
Founder, Office of the Comptroller of the Currency
iRuiz Consulting
Mark Staley
Sunil Verma Vice President,
Director, TD Bank Group
UBS Investment Bank
Arun Venkatarangan
Quantitative Analyst,
Morgan Stanley
Sebastian Zugman
Head of Traded Credit and Market Risk,
Americas,
HSBC
Venues
London New York
The Kingsley Thistle Downtown Conference Center
Bloomsbury Way 157 William Street
London New York
WC1A 2SD NY 10038
Book now
call + 44 (0) 207 968 4530 / +1 (646) 736 1852
email training.delegates@incisivemedia.com
web incisive-training.com/xxxxxxx
Basel 2.5 to Basel III: Validation, London 27 & 28 March 2013
Implementation and Objectives New York 27 & 28 March 2013
Coming up in 2013
Risk Management
Generation Asset Analytics and Risk Management
London 6 & 7 February 2013
New York 13 & 14 February 2013
Cant find what youre incisive-training.com/generationasset
looking for? Collateral Management & Client On-Boarding:
practical guidelines for the adoption of central
clearing
Incisive Training values our delegate London 13 & 14 February 2013
feedback and is always looking for new New York 20 & 21 February 2013
ideas and suggestions for interesting incisive-training.com/collateral
topics you would like to see produced Terry Benzschawel on Credit Risk Modelling
as a training course. If you would like to London 13 & 14 February 2013
submit a subject area or have a topic you New York 27 & 28 February 2013
would like to see covered at one of our incisive-training.com/crm
training events please contact
The Fundamentals of Operational Risk
Adriana Lobo via
London 20 & 21 February 2013
adriana.lobo@incisivemedia.com New York 20 & 21 February 2013
incisive-training.com/operationalrisk
Ignacio Ruiz on Counterparty Risk & CVA:
Modelling, Managing and Hedging
London 20 & 21 February 2013
New York 27 & 28 February 2013
incisive-training.com/ccp
Christian Meyer & Peter Quell on Risk Model
Validation
London 13 & 14 March 2013
New York 20 & 21 March 2013
incisive-training.com/rmv
John Wilson on OTC Central Clearing
London 13 & 14 March 2013
New York 20 & 21 March 2013
incisive-training.com/centralclearing
Pricing IRDs: OIS Discounting, Risk,
Operations and Audit
London 18 & 19 March 2013
New York 27 & 28 March 2013
incisive-training.com/ird
Book now
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web incisive-training.com/xxxxxx
Basel 2.5 to Basel III: Validation, London 27 & 28 March 2013
Implementation and Objectives New York 27 & 28 March 2013
1 2
0830 Coffee and registration 0830 Coffee and registration
0900 Basel 2.5 Implementation: Stressed VaR and Incremental Risk Charge 0900 Capital Requirements and Leverage Ratio
VaR and SVaR: reviewing the conditions and objectives Minimum Capital: Increases in tier 1 capital 2013-2016
Regulatory methodology: confidence levels, time scales of measures Tighter definition of tier 1 capital
Stressed VaR and 12 month stress period Tier 3 and hybrid capital instruments phased out
Standardised and Advanced approaches Regulatory capital adjustments
Identification and discussion of challenges encountered Capital buffers
Identifying historical stress periods Conservation buffer
Computational data issues Country specific countercyclical capital and its implementation
Modelling and implementation Capital related to market risk
Analysis of inflation / deflation (yield curve and prices risks) Leverage ratio
Capital charge for SVaR: complexities and challenges Minimum percentage of tier 1 capital
Incremental Risk Charge: managing default risk and migration risk 3% for the observation period
Objectives of IRC Tutor to be confirmed
Conditions: confidence level, time horizons, products applicable
Standardised and Advanced approaches 1030 Morning break
IRC Liquidity horizon
Modelling and pricing migration derivatives 1100 CVA VaR and CCP Exposures
Explaining migration losses Higher quantitative and qualitative requirements for collateralized derivatives
Stress tests, sensitivity and scenario analyses transactions
Developing relevant internal benchmarks What is CVA and CVA VaR?
Reviewing the implementation of IRC and first year of practice Standardised approach to CVA VaR: challenges with data
Tutor Ian Fernandes, Director, RiskContainer, Calimere Point Modelling challenges of the advanced approach
CVA risk capital charge: general and specific credit spread risks, including Stressed
1030 Morning break VaR but excluding IRC
Compatibility with other risk metrics and possible double counting
1100 Basel 2.5 Implementation 2: Modelling Capital for Securitisation and Comprehensive Key challenges and limitations
Risk Measure Enhanced role of independent review
Securitisation: excluded from the IRC Basel III and broad OTC derivative reform
Background on securitisation and the crisis New standards for the capitalization of exposures to central counterparties (CCPs)
Objectives of Basel 2.5 approach to securitisation risk management Tutor Ian Fernandes, Director, RiskContainer, Calimere Point
Banking book capital charges for tranches
Higher risk weights for resecuritisation 1230 Lunch
Restrictions on credit ratings
Risk and oversight: stress testing, liquidity and capital planning 1330 Counterparty Risk Capital: Wrong Way Risk
Effective on banking business models Higher asset value correlation multiplier for large financial institutions
Exclusion of correlation trading portfolios: CRM Higher operational requirements for counterparty risk
Comprehensive Risk Measure: capturing price risk Backtesting
CRM target: default and migration risk of tranches and their hedges stress testing
Conditions: confidence level, time horizons, products applicable model validation
CRM Liquidity horizon Explicit pillar I capital charge for wrong-way risk
Coverage of basis risk How is wrong way risk addressing issues arising from the debt crisis
Standardised approach Introducing Stressed EEPE to account for general wrong way risk
CRM Floor Challenges of calibrating wrong way risk
CDO, CDS, and Bonds Qualitative and quantitative challenges of treating specific wrong way risk
Reviewing the implementation of IRC and first year of practice Definition of legal connection and the adjustment of netting rules
Tutor Ian Fernandes, Director, RiskContainer, Calimere Point Wrong way risk and systemic risk
The role of wrong way risk in liquidity risk
1230 Lunch Tutor Ignacio Ruiz, Founder, iRuiz Consulting
1330 Basel 2.5+: The Fundamental Review of Trading Book 1500 Break
Regulatory arbitrage: re-drawing trading book/banking book boundary
New approaches: Trading Evidence-based boundary, Valuation-based boundary 1530 Stress Testing and Risk Appetite under Basel III
Treatment of hedging and diversification Basel III: enhanced stress testing requirements across risks
Improved granularity of models Pillar I and Pillar II aspects: ERM approach
Treatment of credit risk in trading book Applying the concept of drawdown in stress tests
From VaR to Expected Shortfall (ES): weakness of VaR The role of liquidity and liquidity stress scenarios
Capturing Tail Risk with ES: theory Reverse stress tests
ES for the standardised approach The limits of stress testing and importance of qualitative risk management
ES for the model-based approach Tutor Sunil Verma, Director, UBS Investment Bankg
Re-calibrated standardised approach and models-based approach
Closer link between two approaches
standardised approach as a mandatory surcharge to the models-based approach
1700 End of course
Standardised: partial risk factor approach; fuller risk factor approach
Models-based approach: major changes
Incorporating market illiquidity into models: IRC and CRM
Incorporating varying liquidity horizons into regulatory capital
Capital add-ons for changes in liquidity premia
Endogenous liquidity
Extending liquidity horizons
Valuation adjustments?
Tutor Ian Fernandes, Director, RiskContainer, Calimere Point
1500 Break
1530 Basel 3: Risk Governance and Operational Challenges
Regulatory focus on governance
Basel III focus on governance
Improving Corporate Risk Governance
Risk appetite and senior management awareness
Transparency and controls
Risk and reputational hazards
SIFIs: higher capital, bail-in and CoCos, Living Wills
Enhancement of Pillar II: peer reviews
Liquidity reporting
General cost of changing risk infrastructure
Tutor Diana Ouamar, Co-Founder and Director, Rima Consulting
New York Wednesday 27 March 2013 New York Thursday 28 March 2013
Day Day
1 2
0830 Coffee and registration 0830 Coffee and registration
0900 Overview of Risk Based Capital Guidelines: Market Risk and Comparisons with 0900 Basel 2.5+: Fundamental Review of the Trading Book
2011 NPRs Regulatory arbitrage: re-drawing trading book/banking book boundary
Agencies involved in Rule: OCC, FRB, FDIC New approaches: Trading Evidence-based boundary, Valuation-based boundary
Who qualifies compared to Basel II? Treatment of hedging and diversification
Consistency with Volcker Rule Improved granularity of models
Working alongside Dodd-Frank: ratings agency workaround Treatment of credit risk in trading book
Timeline and supervision framework for implementation From VaR to Expected Shortfall (ES): weakness of VaR
Modifications from 2011 NPRs on market risk Capturing Tail Risk with ES: theory
CRM surcharge modification ES for the standardised approach
Standardised specific risk charges: corporate debt positions ES for the model-based approach
Modification of securitisation positions Re-calibrated standardised approach and models-based approach
Sovereign exposure Closer link between two approaches
Exclusion of prudential valuation standards standardised approach as a mandatory surcharge to the models-based approach
Adjusted and advanced risk weighted assets Standardised: partial risk factor approach; fuller risk factor approach
Tutor to be confirmed Models-based approach: major changes
Incorporating market illiquidity into models: IRC and CRM
1100 Updating Value-at-Risk: Implementing Stressed VaR Incorporating varying liquidity horizons into regulatory capital
Regulatory VaR backtesting modification Capital add-ons for changes in liquidity premia
Regulatory methodology: confidence levels, time scales of measures Endogenous liquidity and extending liquidity horizons
Stressed VaR and 12 month stress period Tutor Mark Staley, Vice President, TD Bank
Standardised and Advanced approaches
Identifying historical stress periods 1030 Morning break
Computational data issues
Capital charge for SVaR: complexities and challenges 1100 Basel 3: Risk Governance and Operational Challenges
Tutor James Diguglielmo & Arun Venkatarangan, Quantitative Analysts, Risk Model Regulatory focus on governance
Validation, Morgan Stanley Basel III focus on governance
Improving Corporate Risk Governance
1230 Lunch Risk appetite and senior management awareness
Transparency and controls
1330 Managing Default Risk, Migration Risk and Price Risk: IRC and CRM Risk and reputational hazards
Objectives of IRC SIFIs: higher capital, bail-in and CoCos, Living Wills
Conditions: confidence level, time horizons, products applicable Enhancement of Pillar II: peer reviews
Standardised and Advanced approaches Liquidity reporting
IRC Liquidity horizon General cost of changing risk infrastructure
Modelling and pricing migration derivatives Interaction and collision with Dodd-Frank
Explaining migration losses Tutor Akhtarur Siddique, Risk Analysis Division, Office of the Comptroller of the
Stress tests, sensitivity and scenario analyses Currency
Developing relevant internal benchmarks
Operational and data challenges for implementation of IRC in first year of practice 1230 Lunch
CRM target: default and migration risk of tranches and their hedges
Conditions: confidence level, time horizons, products applicable 1330 Capital Requirements and Leverage Ratio
CRM Liquidity horizon Minimum Capital: Increases in tier 1 capital 2013-2016
Coverage of basis risk Tighter definition of tier 1 capital
Standardised approach Tier 3 and hybrid capital instruments phased out
Modelling challenges of the advanced approach Regulatory capital adjustments
CRM Floor Capital buffers
CDO, CDS, and Bonds Conservation buffer
Tutor James Diguglielmo & Arun Venkatarangan, Quantitative Analysts, Risk Model Country specific countercyclical capital and its implementation
Validation, Morgan Stanley Capital related to market risk
Leverage ratio
1500 Break Minimum percentage of tier 1 capital
3% for the observation period
1530 Implementing Securitisation Capital Rules Under Basel 2.5 Tutor to be confirmed
Securitisation: excluded from the IRC
Background on securitisation and the crisis 1500 Break
Objectives of Basel 2.5 approach to securitisation risk management
Banking book capital charges for tranches 1530 Counterparty Risk: Wrong Way Risk & CVA VaR
Higher risk weights for resecuritisation Higher asset value correlation multiplier for large financial institutions
Restrictions on credit ratings Higher operational requirements for counterparty risk
Risk and oversight: stress testing, liquidity and capital planning Backtesting
Effective on banking business models stress testing
Exclusion of correlation trading portfolios: CRM model validation
Tutor Gordon Liu, Head of Traded Market Risk & Sebastian Zugman, Head of Market Explicit pillar I capital charge for wrong-way risk
and Credit Risk Americas, HSBC USA How is wrong way risk addressing issues arising from the debt crisis
Introducing Stressed EEPE to account for general wrong way risk
1700 End of day one Challenges of calibrating wrong way risk
Qualitative and quantitative challenges of treating specific wrong way risk
Definition of legal connection and the adjustment of netting rules
Wrong way risk and systemic risk
The role of wrong way risk in liquidity risk
Higher quantitative and qualitative requirements for collateralized derivatives
transactions
What is CVA and CVA VaR?
Standardised approach to CVA VaR: challenges with data
Modelling challenges of the advanced approach
CVA risk capital charge: general and specific credit spread risks, including Stressed
VaR but excluding IRC
Compatibility with other risk metrics and possible double counting
Key challenges and limitations
Enhanced role of independent review
Tutor Ariel Blumencwejg, CVA Risk Specialist, Federal Reserve Bank of New York
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Basel 2.5 to Basel III: Validation,
Implementation and
Objectives
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